Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0576 |
| Annualized Std Dev | 0.2522 |
| Annualized Sharpe (Rf=0%) | -0.2283 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1739 |
| Quartile 1 | -0.0063 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0066 |
| Maximum | 0.2302 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0003 |
| Stdev | 0.0159 |
| Skewness | -0.2025 |
| Kurtosis | 27.3688 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0116 |
| Gain Deviation | 0.0124 |
| Loss Deviation | 0.0141 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0117 |
| Downside Deviation (0%) | 0.0117 |
| Maximum Drawdown | 0.8892 |
| Historical VaR (95%) | -0.0207 |
| Historical ES (95%) | -0.0389 |
| Modified VaR (95%) | -0.0184 |
| Modified ES (95%) | -0.0184 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-03-11 | 2008-11-20 | NA | -0.8892 | 5544 | 2442 | NA |
| 1999-01-25 | 1999-01-28 | 1999-01-29 | -0.0327 | 5 | 4 | 1 |
| 1999-02-03 | 1999-02-09 | 1999-02-23 | -0.0327 | 14 | 5 | 9 |
| 1999-02-24 | 1999-02-26 | 1999-03-10 | -0.0261 | 11 | 3 | 8 |
| 1999-01-14 | 1999-01-14 | 1999-01-19 | -0.0197 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.7 | 0 | 0 | -1.3 | -0.7 | 0 | 0.7 | 0 | -0.8 | -1.6 | 0.8 | -1.8 | -5.2 |
| 2000 | 0.8 | -0.8 | 0 | 0.8 | -0.9 | 1.7 | -0.8 | 0.8 | -1.7 | 1 | 1.2 | 3.5 | 5.8 |
| 2001 | -0.7 | -0.8 | -0.2 | 0 | 1.3 | 0.3 | 0.6 | 1.2 | -1 | -1.4 | 2.2 | -0.9 | 0.6 |
| 2002 | 1.2 | 1.4 | 0.2 | 1.2 | -0.7 | -0.9 | 0.5 | -0.7 | 0.2 | 0.7 | 2.5 | 1.5 | 7.4 |
| 2003 | 1 | 1.4 | 1.1 | -0.8 | -0.2 | 0 | -2.4 | 0.7 | 0.2 | 0.4 | 1.5 | 1.1 | 3.9 |
| 2004 | 3.6 | 0.2 | 1.4 | -0.4 | 1.1 | 0.2 | 0.6 | 0.4 | 0.6 | 0.6 | 1.2 | 0.4 | 10.1 |
| 2005 | 0.4 | 0.4 | -1.7 | 0.7 | 1.8 | -0.8 | 0 | 0.2 | 0.4 | 2.1 | 0.6 | 0.5 | 4.5 |
| 2006 | 0.2 | -0.4 | 0 | -0.5 | -1.5 | 0.3 | 0.7 | 0.7 | 0.4 | 0 | 0 | 0.7 | 0.6 |
| 2007 | 0 | -1.3 | 0.4 | -0.4 | 0 | 0.7 | -3 | 0.8 | 1.3 | -0.8 | 1.5 | 0 | -1 |
| 2008 | -0.3 | -0.9 | 2.9 | 0.3 | 0 | 0.3 | -0.7 | 0.7 | 1.3 | 3.7 | -8.6 | 4 | 2.2 |
| 2009 | 0.5 | -4.4 | 0.6 | 4.5 | 0.9 | -1.3 | 0 | 0.8 | -0.7 | -2.2 | 1.4 | 0.3 | 0.2 |
| 2010 | 5 | 0.7 | 0.7 | 0 | 0.4 | 1 | 1 | 1.3 | 1.4 | 1.7 | 0.3 | -0.3 | 13.9 |
| 2011 | 0 | 1.3 | 0.3 | 0.9 | 0.9 | 0.9 | 2 | 1 | 4.2 | -2 | -0.7 | 0 | 9.1 |
| 2012 | 1.7 | 0.6 | 0 | 0.6 | 0.3 | 1.3 | 0.3 | 0.6 | -0.6 | 1.3 | -0.9 | 0.9 | 6.3 |
| 2013 | 0.3 | 0 | 0.9 | 1.5 | 0.6 | 0.6 | -0.6 | 0 | 0.7 | -0.6 | 1 | -0.3 | 4.1 |
| 2014 | 0 | 0.3 | 0.9 | 0 | -0.3 | -0.6 | 0 | 0 | 0.6 | 1.3 | 0 | 2.2 | 4.5 |
| 2015 | 0.7 | 0.4 | 0 | 0.4 | 0 | 0.8 | -0.8 | -0.9 | -0.4 | 0.8 | 1.3 | 0.9 | 3.2 |
| 2016 | -0.5 | 0.5 | 0 | 0.4 | 0 | 2.1 | 0.8 | -0.8 | 0 | -0.6 | -0.4 | 2.7 | 4.2 |
| 2017 | 0 | 0.7 | 0 | -0.4 | 0.4 | 0.7 | 0 | 0.7 | 0 | 0 | 1.4 | 0.4 | 4 |
| 2018 | 0 | -0.4 | 0.8 | 0.4 | 0.2 | 0.4 | 0.4 | -0.2 | -0.4 | 0.4 | 0 | 0.5 | 2 |
| 2019 | 0.9 | 0.8 | 0.8 | 0 | -0.8 | 0.4 | -0.2 | -0.8 | -0.4 | 0.2 | -0.8 | 0.8 | 0.9 |
| 2020 | -0.4 | -3.4 | -4.6 | -2.2 | 0.5 | -1 | 0 | 1.4 | 0.5 | -1.9 | 0 | -0.4 | -11.1 |
| 2021 | 0.9 | -0.2 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
